Country Risk Dynamics and Stock Market Volatility: Evidence from the JSE Cross-Sector Analysis

Country Risk Dynamics and Stock Market Volatility: Evidence from the JSE Cross-Sector Analysis

The rapid integration of the global markets and financial system has increased stock market volatility due to the increased exposure to various risks. Using different GARCH family models, this study investigates the impact of country risk components shocks on stock market return volatility of the Jo...

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Bibliographic Details
Main Authors: Edson VENGESAI, Adefemi A. OBALADE, Paul-Francois MUZINDUTSI
Format: Article
Language:English
Published: Tripal Publishing House 2022-03-01
Series:Journal of Economics and Financial Analysis
Subjects:
country risk
stock return
volatility
garch models
jse, stock market sectors.
Online Access:https://ojs.tripaledu.com/jefa/article/view/68

Internet

https://ojs.tripaledu.com/jefa/article/view/68

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